This repository hosts the code for the multi-objective simultaneous optimistic optimisation algorithm. Paper can be found here.
The algorithm is implemented in MATLAB and there is also a C-implementation (though not thoroughly tested). Scripts to generate the theoretical bounds and figures are also presented.
To run a demo, in MATLAB, cd to the mosoo-demo directory and execute the following
>>run_MOSOO_Demo
If you write a scientific paper describing research that made use of this code, please consider citing the following paper:
@article{ALDUJAILI2018159,
title = "Multi-Objective Simultaneous Optimistic Optimization",
journal = "Information Sciences",
volume = "424",
number = "Supplement C",
pages = "159 - 174",
year = "2018",
issn = "0020-0255",
doi = "https://doi.org/10.1016/j.ins.2017.09.066",
url = "http://www.sciencedirect.com/science/article/pii/S0020025517309854",
author = "Abdullah Al-Dujaili and S. Suresh",
keywords = "Multi-objective optimization",
keywords = "Optimistic methods",
keywords = "Multi-armed bandits",
keywords = "Simultaneous optimistic optimization",
keywords = "Finite-time analysis",
keywords = "Asymptotic analysis"
}